Rensselaer
Education for Working Professionals ~ Hartford Campus
2009 Spring Schedule
Financial
Econometrics Modeling
Rensselaer Course # MGMT-6400H01
Professor Jim Stodder,
Campus Address: Hartford
Phone Numbers:
860-548-7860, 800-523-6468 (Toll-free)
Fax Number:
860-547-0866, Office Hours: Thursdays 3-5pm, in Hartford
Email: stoddj@rpi.edu Web Page: www.ewp.rpi.edu/hartford/~stodder
REQUIRED texts:
1)
R. Carter Hill, William E. Griffiths, Guay C.
Lim; Principles of Econometrics, 3rd Edition, ISBN:
978-0-471-72360-8, Hardcover, 608 pages, Wiley, 2007: www.wiley.com/WileyCDA/WileyTitle/productCd-0471723606.html.
2)
William E. Griffiths, R. Carter Hill, Guay C.
Lim; Using EViews
for Principles of Econometrics , 3rd Edition, ISBN: 978-0-471-78711-2, Paperback,
368 pages, Willey, 2008: www.wiley.com/WileyCDA/WileyTitle/productCd-0471787116.html
. (Comes with Student EViews).
3)
Wayne Winston; Financial Models Using Simulation and
Optimization: A Step-By-Step Guide With Excel and Palisade's
DecisionTools Software, 3rd Edition,
ISBN: 978-1-893-28108-0, Paperback, Palisades, 2008: www.palisade.com/books/financial_models.asp. (comes with temp. DecisionTools).
4)
Taleb, Nassim N.; The Black
Swan: The Impact of the Highly Improbable, ISBN:
978-1400063512, Random House, 2007: www.randomhouse.com/catalog/display.pperl?isbn=9781400063512.
Purpose: Enabling the student to understand financial
econometric estimates and simulations.
Techniques are highly useful in private and public financial planning,
demand analysis, demographics, energy policy. A healthy dose of skepticism is added with
the work of Taleb.
Requirements:
1)
A Group Project, an assigned problem for in-class presentation after
week 4. (30%)
2)
An Individual Paper, of one’s own choosing. Abstract must be pre-approved by Instructor.
(60%)
3)
Class Participation, questions, comments. (10%)
|
Weeks |
Dates |
Topic |
Reading (note colored word) |
Additional
Material |
|
1-4 |
1/15-2/5 |
Linear Regressions, Goodness of Fit, Hypotheses Tests |
Principles & Using |
|
|
5 |
2/12 |
Non-Linearity, Heteroskedasticity,
Simultaneity |
Principles & Using |
|
|
6-7 |
2/19 |
Cointegration, Error Correction, ARCH Models |
Principles & Using |
Structured
Financial Products (HBS) |
|
8-9 |
3/5 |
Panel Data and Qualitative Dependent Variables |
Principles & Using |
Paper on Public
Goods & Corruption Original Easterly
Paper |
|
10 |
3/19 |
Valuation of Bonds, Stocks |
Ch 9-15, Financial |
|
|
11 |
3/26 |
Risk and Return, CAPM, Efficient Market Hypothesis |
Ch 16-17, Financial |
|
|
12-13 |
4/2-4/9 |
Options and Derivatives |
Ch 40-50, Financial |